VXX:VIX Discussion

Interesting post from Daily Options Report regarding the relationship of VIX and VXX. As I have previously stated, I believe the VIX timing tool to be an extremely attractive strategy however there is insufficent data on VXX and it’s movements with its underlying VIX. Adam Warner makes a good point in his email regarding the current premium embedded in VIX futures which would portend a sluggish response from VXX in my current long vol position.

~ by largecaptrader on June 29, 2009.

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